There are ways to write links in such a way that they should keep you on your instance, but I'm not too familiar with them. I wonder if it would be possible to "precheck" links that load on a page, and if any point to content that can be federated, kick off the process of pulling that content in. Then when the user clicks that link, it would take them to the content on their home instance, where they can interact. That way users wouldn't need to deal with formatting links a certain way, it would just happen automatically (if your home instance software supports it).